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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

FEBRUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MARCH Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 97.4 99.6 101.8 * 0.0 0.0 0.0
Weighted Avg. Price 97.1 99.6 101.8 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.1 99.5 101.7 * 0.0 0.0 0.0
2nd Quartile Price 97.4 99.5 101.7 * 0.0 0.0 0.0
3rd Quartile Price 97.4 99.6 101.8 * 0.0 0.0 0.0
4th Quartile Price 97.5 99.6 101.8 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.5 99.7 101.8 * 0.0 0.0 0.0
Standard Deviation 0.2 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 2,167,067.0 4,142,822.4 1,141,216.6 * 0.0 0.0 0.0
     NUMBER OF TRADES 103 236 80 * 0 0 0
FHLMC
AVERAGE PRICE 97.5 99.6 101.9 0.0 0.0 0.0 0.0
Weighted Avg. Price 97.5 99.5 101.9 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.4 99.5 101.8 0.0 0.0 0.0 0.0
2nd Quartile Price 97.4 99.5 101.8 0.0 0.0 0.0 0.0
3rd Quartile Price 97.5 99.6 101.9 0.0 0.0 0.0 0.0
4th Quartile Price 97.5 99.6 101.9 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.5 99.6 101.9 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 18,646.0 321,115.0 91,667.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 9 23 11 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
APRIL Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 97.2 99.4 101.6 0.0 0.0 0.0 0.0
Weighted Avg. Price 96.7 99.4 101.6 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 97.1 99.4 101.6 0.0 0.0 0.0 0.0
2nd Quartile Price 97.3 99.4 101.6 0.0 0.0 0.0 0.0
3rd Quartile Price 97.3 99.4 101.7 0.0 0.0 0.0 0.0
4th Quartile Price 97.4 99.5 101.7 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 97.3 99.5 101.7 0.0 0.0 0.0 0.0
Standard Deviation 0.6 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 1,083,143.0 2,281,700.0 460,250.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 16 28 26 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
MAY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 * 101.5 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 * 101.5 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 101.4 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 * 101.4 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 * 101.5 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 * 101.5 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 101.5 0.0 0.0 0.0 0.0
Standard Deviation 0.0 * 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 84,000.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 * 26 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

FEBRUARY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 0.0 104.1 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 104.1 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 104.1 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 104.1 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 6,223.6 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 6 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
GNMA
AVERAGE PRICE 0.0 * * 103.2 104.4 0.0 0.0
Weighted Avg. Price 0.0 * * 103.2 104.2 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * 103.1 104.4 0.0 0.0
2nd Quartile Price 0.0 * * 102.9 * 0.0 0.0
3rd Quartile Price 0.0 * * 103.4 * 0.0 0.0
4th Quartile Price 0.0 * * 103.5 * 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * 103.4 104.4 0.0 0.0
Standard Deviation 0.0 * * 0.3 0.8 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 33,038.9 12,384.4 0.0 0.0
     NUMBER OF TRADES 0 * * 9 5 0 0
MARCH Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 93.0 96.7 99.7 102.4 104.7 * 0.0
Weighted Avg. Price 93.0 96.7 99.7 102.4 104.7 * 0.0
Avg. Price Bottom 5 Trades 93.0 96.5 99.6 102.3 104.6 * 0.0
2nd Quartile Price * 96.6 99.7 102.3 104.7 * 0.0
3rd Quartile Price * 96.7 99.7 102.4 104.7 * 0.0
4th Quartile Price * 96.8 99.8 102.4 104.7 * 0.0
Avg. Price Top 5 Trades 93.0 96.8 99.8 102.5 104.7 * 0.0
Standard Deviation 0.2 0.1 0.1 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 19,900.0 10,287,314.5 22,407,681.0 19,116,910.0 3,935,852.0 * 0.0
     NUMBER OF TRADES 9 314 1,085 743 205 * 0
FHLMC
AVERAGE PRICE 0.0 96.6 99.7 102.4 104.7 0.0 0.0
Weighted Avg. Price 0.0 96.6 99.7 102.4 104.7 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 96.5 99.7 102.4 104.7 0.0 0.0
2nd Quartile Price 0.0 96.6 99.7 102.4 104.7 0.0 0.0
3rd Quartile Price 0.0 96.6 99.7 102.4 104.7 0.0 0.0
4th Quartile Price 0.0 96.7 99.8 102.4 104.7 0.0 0.0
Avg. Price Top 5 Trades 0.0 96.7 99.8 102.5 104.7 0.0 0.0
Standard Deviation 0.0 0.1 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 1,299,005.0 2,222,213.7 855,386.6 518,345.0 0.0 0.0
     NUMBER OF TRADES 0 40 75 53 34 0 0
GNMA
AVERAGE PRICE 0.0 97.8 100.5 102.7 104.1 * 0.0
Weighted Avg. Price 0.0 97.9 100.5 102.7 104.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 97.6 100.4 102.6 103.9 * 0.0
2nd Quartile Price 0.0 97.6 100.5 102.7 104.0 * 0.0
3rd Quartile Price 0.0 97.7 100.5 102.7 104.0 * 0.0
4th Quartile Price 0.0 97.7 100.6 102.7 104.0 * 0.0
Avg. Price Top 5 Trades 0.0 99.4 100.9 103.3 104.8 * 0.0
Standard Deviation 0.0 0.6 0.2 0.1 0.3 * 0.0
     VOLUME OF TRADES (000'S) 0.0 1,465,785.4 4,917,141.0 6,340,291.9 841,560.3 * 0.0
     NUMBER OF TRADES 0 76 241 255 67 * 0
APRIL Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 96.6 99.6 102.2 104.5 * 0.0
Weighted Avg. Price 0.0 96.6 99.5 102.2 104.5 * 0.0
Avg. Price Bottom 5 Trades 0.0 96.5 99.5 102.1 104.5 * 0.0
2nd Quartile Price 0.0 96.5 99.5 102.2 104.5 * 0.0
3rd Quartile Price 0.0 96.6 99.5 102.2 104.5 * 0.0
4th Quartile Price 0.0 96.6 99.6 102.3 104.5 * 0.0
Avg. Price Top 5 Trades 0.0 96.6 99.7 102.3 104.6 * 0.0
Standard Deviation 0.0 0.1 0.1 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 2,636,810.0 5,657,057.0 7,494,238.0 1,829,800.0 * 0.0
     NUMBER OF TRADES 0 29 96 213 71 * 0
FHLMC
AVERAGE PRICE 0.0 * 99.6 102.3 104.5 0.0 0.0
Weighted Avg. Price 0.0 * 99.6 102.2 104.5 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * 99.6 102.2 104.5 0.0 0.0
2nd Quartile Price 0.0 * * 102.2 104.5 0.0 0.0
3rd Quartile Price 0.0 * * 102.3 104.6 0.0 0.0
4th Quartile Price 0.0 * * 102.3 104.6 0.0 0.0
Avg. Price Top 5 Trades 0.0 * 99.6 102.3 104.5 0.0 0.0
Standard Deviation 0.0 * 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 315,300.0 339,600.0 339,800.0 0.0 0.0
     NUMBER OF TRADES 0 * 8 12 7 0 0
GNMA
AVERAGE PRICE 0.0 97.5 100.4 102.6 103.9 * 0.0
Weighted Avg. Price 0.0 97.5 100.4 102.6 103.9 * 0.0
Avg. Price Bottom 5 Trades 0.0 97.5 100.3 102.3 103.8 * 0.0
2nd Quartile Price 0.0 * 100.4 102.5 103.9 * 0.0
3rd Quartile Price 0.0 * 100.4 102.6 103.9 * 0.0
4th Quartile Price 0.0 * 100.4 102.6 103.9 * 0.0
Avg. Price Top 5 Trades 0.0 97.5 100.4 102.6 103.9 * 0.0
Standard Deviation 0.0 0.0 0.0 0.2 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 20,000.0 1,202,990.0 2,341,144.0 163,588.0 * 0.0
     NUMBER OF TRADES 0 6 47 130 49 * 0
MAY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 * 99.4 102.0 104.3 * 0.0
Weighted Avg. Price 0.0 * 99.4 102.0 104.4 * 0.0
Avg. Price Bottom 5 Trades 0.0 * 99.3 101.9 104.3 * 0.0
2nd Quartile Price 0.0 * 99.4 102.0 104.3 * 0.0
3rd Quartile Price 0.0 * 99.4 102.0 104.3 * 0.0
4th Quartile Price 0.0 * 99.5 102.1 104.4 * 0.0
Avg. Price Top 5 Trades 0.0 * 99.5 102.1 104.4 * 0.0
Standard Deviation 0.0 * 0.1 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 * 1,511,250.0 2,602,500.0 848,700.0 * 0.0
     NUMBER OF TRADES 0 * 37 228 48 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 102.0 104.3 * *
Weighted Avg. Price 0.0 0.0 * 102.1 104.3 * *
Avg. Price Bottom 5 Trades 0.0 0.0 * 101.9 104.3 * *
2nd Quartile Price 0.0 0.0 * 102.0 * * *
3rd Quartile Price 0.0 0.0 * 102.1 * * *
4th Quartile Price 0.0 0.0 * 102.1 * * *
Avg. Price Top 5 Trades 0.0 0.0 * 102.1 104.3 * *
Standard Deviation 0.0 0.0 * 0.1 0.1 * *
     VOLUME OF TRADES (000'S) 0.0 0.0 * 267,580.0 104,000.0 * *
     NUMBER OF TRADES 0 0 * 11 5 * *
GNMA
AVERAGE PRICE 0.0 * 100.2 102.4 103.7 * *
Weighted Avg. Price 0.0 * 100.2 102.5 103.7 * *
Avg. Price Bottom 5 Trades 0.0 * 100.1 102.3 103.6 * *
2nd Quartile Price 0.0 * 100.2 102.4 103.7 * *
3rd Quartile Price 0.0 * 100.3 102.4 103.7 * *
4th Quartile Price 0.0 * 100.3 102.4 103.8 * *
Avg. Price Top 5 Trades 0.0 * 100.3 102.5 103.8 * *
Standard Deviation 0.0 * 0.1 0.0 0.1 * *
     VOLUME OF TRADES (000'S) 0.0 * 217,500.0 1,100,800.0 141,000.0 * *
     NUMBER OF TRADES 0 * 50 140 37 * *
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.